论文标题
具有多元扩散资产价格的游戏选项的离散近似值的错误估计
Error estimates for discrete approximations of game options with multivariate diffusion asset prices
论文作者
论文摘要
我们获得了通过离散的时间过程进行扩散矩阵$σ$和a漂移b的强近近似值的误差估计值其中ξ（n）; n \ geq 1是I.I.D.随机向量，并应用此矢量以近似游戏选项的公平价格，并通过基于上述离散时间过程的Dynkin游戏的值进行扩散资产价格演变。这为计算游戏期权的公平价格提供了有效的工具，并在扩散发展的多资产市场中获得了依赖性收益。
We obtain error estimates for strong approximations of a diffusion with a diffusion matrix $σ$ and a drift b by the discrete time process defined recursively X_N((n+1)/N) = X_N(n/N)+N^{1/2}σ(X_N(n/N))ξ(n+1)+N^{-1}b(XN(n/N)); where ξ(n); n\geq 1 are i.i.d. random vectors, and apply this in order to approximate the fair price of a game option with a diffusion asset price evolution by values of Dynkin's games with payoffs based on the above discrete time processes. This provides an effective tool for computations of fair prices of game options with path dependent payoffs in a multi asset market with diffusion evolution.
